8.4.12 Let X be a random vector with cor- relation matrix Rx and covariance matrix Cx....

Transcribed Image Text:

8.4.12 Let X be a random vector with cor- relation matrix Rx and covariance matrix Cx. Show that Rx and Cx are both pos- itive semidefinite by showing that for any nonzero vector a, a Rxa 20. a'Cxa 0. 8.4.12 Let X be a random vector with cor- relation matrix Rx and covariance matrix Cx. Show that Rx and Cx are both pos- itive semidefinite by showing that for any nonzero vector a, a Rxa 20. a'Cxa 0.